On the Stochastic Maximum Principle

DOI10.1137/0316015MaRDI QIDQ4152456zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann

Publication date 1978

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0316015

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited in

(11)

• On Benes' bang-bang control problem
• The probabilistic structure of controlled diffusion processes
• Strategies using an observer for steering a random motion of a point in a multitarget environment
• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• Optimal locally absolutely continuous change of measure. finite set of decisions. part i
• Optimal locally absolutely continuous change of measure. finite set of decisions. part ii:optimization problems
• On the integral representation of functionals of ltd processest
• Optimal control for a class of partially observable systems^†
• Maximum principle of stochastic controlled systems of functional type
• Existence of singular optimal control laws for stochastic differential equations
• Optimal control of a setvalued stochastic dynamic system

This page was built for publication: On the Stochastic Maximum Principle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4152456)